Imperfect Competition among Informed Traders
在连续时间Kyle模型中分析知情交易者之间的竞争，发现信号不完全相关时存在唯一线性均衡，而完全相关时无线性均衡；竞争反而使市场在后期信息效率降低并趋于不流动。
We analyze competition among informed traders in the continuous‐time Kyle(1985) model, as Foster and Viswanathan (1996) do in discrete time. We explicitly describe the unique linear equilibrium when signals are imperfectly correlated and confirm the conjecture of Holden and Subrahmanyam (1992) that there is no linear equilibrium when signals are perfectly correlated. One result is that at some date, and at all dates thereafter, the market would have been more informationally efficient had there been a monopolist informed trader instead of competing traders. The relatively large amount of private information remaining near the end of trading causes the market to approach complete illiquidity.